Contact Information:

Principal Economist

Board of Governors of the Federal Reserve System

Division of Research and Statistics

20-th and C street NW

Washington DC 20551

E-mail: valery dot y dot polkovnichenko at frb dot gov

Official Federal Reserve Page

Google citations page

My papers in SSRN library

CV

Research Interests:

Asset pricing, Portfolio choice, Incomplete markets, Heterogeneous agents, Non-expected utility preferences

Publications:

• "Cautious Risk Takers: Investor Preferences and Demand for Active Management," 2017, with Kelsey Wei and Feng Zhao, The Journal of Finance 74(2), pp. XX-XX (working paper)
• “Fiscal Policy and Asset Prices with Incomplete Markets”, 2013, with Francisco Gomes and Alexander Michaelides, The Review of Financial Studies, 26(2), pp. 531-66
• “Probability Weighting Functions Implied in Option Prices” 2013, with Feng Zhao, Journal of Financial Economics, 107(3), pp. 580-609 (working paper).
• “Risk attitude toward small and large bets in the presence of background risk”, 2011, with David Chapman, The Review of Finance, 15(4), pp. 909-27. (working paper).
• “Individual Investor Portfolios”, 2010, in “Behavioral Finance” (Robert Kolb series in Finance) by Kent Baker and John Nofsinger, eds., John Wiley & Sons, Hoboken, New Jersey.
• "Wealth accumulation and portfolio choice with taxable and tax-deferred accounts," December 2009, with Francisco Gomes and Alexander Michaelides, Review of Economic Dynamics, 12(4), pp. 718-35. Reprinted in: Michael Haliassos (Ed.) ``Household finance'', Volume I, The International Library of Critical Writings in Economics series, Edward Elgar Publishing (working paper).
• "First Order Risk Aversion, Heterogeneity in Preferences and Asset Markets Outcomes," August 2009, with David Chapman, The Journal of Finance, 64(4), pp. 1863-88 (working paper)
• Life cycle portfolio choice with additive habit formation preferences and uninsurable labor income risk", The Review of Financial Studies, January 2007, 20(1), pp. 83-124 (working paper)
• "Household Portfolio Diversification: A Case for Rank-Dependent Preferences," The Review of Financial Studies, Winter 2005, 18(4), pp.1467-1501. Reprinted in: Michael Haliassos (Ed.) ``Household finance'', Volume II, The International Library of Critical Writings in Economics series, Edward Elgar Publishing (working paper)
• "Limited Stock Market Participation and the Equity Premium," Finance Research Letters, 1(1), March 2004. (working paper)
• "Human Capital and the Private Equity Premium", Review of Economic Dynamics, 6(4), October 2003, pp. 831-845. (working paper)

Working Papers

• "On the (Im)Possibility of Estimating Expected Return from Risk Neutral Variance", 2019 (working paper)
• "Ambiguity Aversion and Portfolio Efficiency Tests," 2018, with Hui Wang (working paper)
• "Composition of Cash Flow Shocks and Debt Financing," 2019, with Seong Byun and Michael Rebello (working paper)
• "Composition of Cash Flow Shocks and Corprorate Investment," 2019, with Seong Byun and Michael Rebello (working paper)
• “Ambiguity Aversion and the Arbitrage Pricing Theory”, (working paper)
• “Downside Consumption Risk and Expected Returns”, (working paper)
• “Quantifying the Distortionary Fiscal Cost of ‘The Bailout’,” with Francisco Gomes and Alexander Michaelides, (working paper)

Work in progress:

• Upside potential seeking in the cross section of expected returns

Old working paper

• “Competition in Financial Dealership Markets”, with Ilan Kremer, 2000. Kenneth Trefftz prize for the best Ph.D. student paper of the1999 WFA conference. (working paper).